Stochastic Subspace Realization

Version 1.0.0.0 (2.18 KB) by Yi Cao
A tool to identify a state space model from stochastic signals
3.7K Downloads
Updated 2 May 2008

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This code provides a tool to identify a state space model from stochastic signals using a subspace approach.

The code is implemented in two steps using a nested function. The first step returns a vector of subspace singular values, from which a user can determine an appropriate order for the state space to be identified. Then by calling the nested function using the returned function handle the matrices of the state space model are obtained.

Cite As

Yi Cao (2024). Stochastic Subspace Realization (https://www.mathworks.com/matlabcentral/fileexchange/19788-stochastic-subspace-realization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Linear Model Identification in Help Center and MATLAB Answers
Acknowledgements

Inspired by: Multivariable Subspace Identification: MOESP

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Version Published Release Notes
1.0.0.0